Segmentation of an AR(1) Gaussian process
This package consists in an implementation of a robust approach to solve the problem of multiple change-point estimation in the mean of a Gaussian AR(1) process. A robust estimator of the autoregression parameter is proposed and used to build a decorrelated series on which a classical penalized least-square approach is applied.
S. Chakar, E. Lebarbier, C. Levy-Leduc, S. Robin
Maintainer: Souhil Chakar <firstname.lastname@example.org>
S. Chakar, E. Lebarbier, C. Levy-Leduc, S. Robin. A robust approach to multiple change-point estimation in an AR(1) process, arXiv:1403.1958.
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